Download one of the files to your computer and then in Jeography, navigate to File → Settings → General and specifiy the location where you stored the database in the database field. You need to restart the application for this change to take effect.

You can also create your own database with the script located at scripts/create-place-database. Here's the usage message:

For example you can call the script like this to create a database that includes native names and both English and French names of places for all countries, cities and islands from an OpenStreetMap data file: